I was reading this paper regarding the yield curve construction and was programming the Raw Interpolation algorithm (page 7 equation 6) however I was wondering how to use the formula when the desired ...

I'm working on a project to justify the use the certain tenors (2y, 5y, 10y, 30y) for risk bucketing. I'm a little stuck after calculating the principal components. Just to describe my approach-
a) ...

For use in subset of my thesis, I’ve been given some exchange market data for several exchange-listed products, including Eurodollar rate futures as well US treasury futures and Fed Funds futures. I ...

Is there causality, behavioral or logical explanation behind this indicator or is it just purely an observation based on correlation? My guess is that there are existing derivatives with clauses that ...

I am trying to compare fund returns with benchmark returns. I have some yield curve data (some of them calculated by Bloomberg) but not bond price or return data. Is there any way to get bond returns ...

I have data from 2012 to 2016 for interest rates whose term range from 2 month to 30 years, a total of 10 Principal components can be calculated.
Then I want to construct a portfolio, $$WFLY = w_1 *5Y ...

I am currently building a model which aim is to model shocks to the yield curve (i.e. 25bps hike in the short rate).
Currently I am looking at a swap curve from which I derive the PCs. Assessing the ...

I am looking at corporate bond (FR0013367620) in Bloomberg for which I have these values:
DUR_ADJ_MID (modified duration performed using the yield to worst): 6.649
DUR_ADJ_OAS_MID (security's price/...

There is a liquidity premium between on-the-run treasury issues and off-the-run issues with similar characteristics. This is why when building a yield curve, typically on-the-run issues are used to ...

I would like to price a spreadlock forward swap and a spreadlock swaption but I don't find in the web any research article. Would you please provide me with some freely accessible papers on the web ? ...

I am reading up on interest rate models, but currently confused about difference in the two types of models:
no arb models like ho-lee, vasicek etc.
others like nelson siegel, pca models etc.
While ...

I have obtained a Ibor-6Months curve using bootstrapping techniques. For the short-term of the curve I used spot, for the middle-term FRAs and for the long-term IRS.
The curve that I have obtained is ...

$$y(\tau) = \frac{1}{\tau} \int_{0}^{\tau} du \Big(f(u)\Big)$$
As far as I understand the forward rate is the future rate based on the expectation hypothesis. But it is unclear how many years into the ...

I'm looking at the paper "Everything You Always Wanted to Know
About Multiple Interest Rate Curve
Bootstrapping But Were Afraid To Ask". It describes how to construct synthetic deposits in order get a ...

I was runing some tests using the yield curve structure in quantlib mainly: PiecewiseYieldCurve
It seems that I have to fix the evaluation date using such a line :
Settings::instance().evaluationDate(...

In an article of FT today, Matthew Klein writes, "The yield curve represents the cost of borrowing over different amounts of time. Lenders generally prefer getting their money back sooner rather than ...

Assuming that there are not any zero coupon bonds in the market, then someone has to use the prices of regular bonds with same maturity and characteristics (risk,issue etc.) to obtain the yield curve.
...

Suppose that the 10 Year Treasury Yield Rate varies every trading day during the year X1 (which in practice is accurate) what is the intuitive explanation behind calculating the geometric mean using ...